Data driven density estimation in presence of unknown convolution operator - Archive ouverte HAL
Article Dans Une Revue Journal of the Royal Statistical Society: Series B Année : 2011

Data driven density estimation in presence of unknown convolution operator

Fabienne Comte
Claire Lacour

Résumé

We study the following model of deconvolution $Y=X+\varepsilon$ with i.i.d. observations $Y_1,\dots, Y_n$ and $\varepsilon_{-1},\dots,\varepsilon_{-M}$. The $(X_j)_{1\leq j\leq n}$ are i.i.d. with density $f$, independent of the $\varepsilon_j$. The aim of the paper is to estimate $f$ without knowing the density $f_{\varepsilon}$ of the $\varepsilon_j$. We first define a projection estimator, for which we provide bounds for the pointwise and the integrated $L^2$-risk. We consider ordinary smooth and supersmooth noise $\varepsilon$ with regard to ordinary smooth and supersmooth densities $f$. Then we present an adaptive estimator of the density of $f$. This estimator is obtained by penalization of the projection contrast, which provides model selection. Lastly, we present simulation experiments to illustrate the good performances of our estimator and study from the empirical point of view the importance of theoretical constraints.
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Dates et versions

hal-00317447 , version 1 (03-09-2008)
hal-00317447 , version 2 (14-11-2008)

Identifiants

Citer

Fabienne Comte, Claire Lacour. Data driven density estimation in presence of unknown convolution operator. Journal of the Royal Statistical Society: Series B, 2011, 73 (4), pp.601-627. ⟨10.1111/j.1467-9868.2011.00775.x⟩. ⟨hal-00317447v2⟩
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